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    FED Publishes Draft Form and Guidance for Reporting Under Volcker Rule

    June 10, 2020

    FED published draft the reporting form (FR VV-1) and instructions in connection with the Volcker rule amendments that were finalized in November 2019. FED also published the related technical specifications guidance for preparing and submitting the quantitative measurements. Each banking entity that meets the relevant thresholds must furnish quantitative measurements, as applicable, for each of its trading desks engaged in covered trading activity. The instructions for preparing and submitting quantitative measurement information provide guidance for the submission of the Narrative Statement, the trading desk information schedule, the quantitative measurements information schedules, and each applicable quantitative measurement to the agency. In addition, FED published a supporting statement for FR Y-9 reports.

    For preparing quantitative measurements with respect to the form FR VV-1, if a banking entity and one or more of its affiliates are required to report quantitative measurements to the agency, the banking entity and its affiliates should prepare one combined submission to the agency that follows the instructions, the technical specifications guidance, and the XML schema. Banking entities with significant trading assets and liabilities are required to report metrics for each trading day of the month on a quarterly basis. The metrics must be reported within 30 days of the end of each calendar quarter, unless otherwise notified by the agency in writing. The banking entity may submit in a separate electronic document a Narrative Statement to the agency with any information the banking entity views as relevant for assessing the information reported. The Narrative Statement may include further description of or changes to calculation methods, identification of material events, description of and reasons for changes in the banking entity’s trading desk structure or trading desk strategies, and when any such changes occurred.

    The supporting statement for FR Y-9 reports explains that FED adopted changes to the FR Y-9C in relation to a final rule that simplifies the capital framework of FED while preserving strong capital requirements for large firms. In connection with the final rule, FED modified the FR Y-9C for holding companies subject to the capital plan rule to collect information regarding a firm’s stress capital buffer requirement, global systemically important bank (G-SIB) surcharge, countercyclical capital buffer amount, as applicable, and any applicable distribution limitations under the regulatory capital rule. The revisions will become effective for the December 31, 2020 report date.

     

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    Keywords: Americas, US, Banking, Securities, Volcker Rule, Dodd-Frank Act, Reporting, FR VV-1, Regulation VV, Market Risk, FR Y-9C, Regulatory Capital, Capital Buffer, Basel, FED

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